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New directions in business cycle research and financial analysis

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Book cover Advances in Markov-Switching Models

Part of the book series: Studies in Empirical Economics ((STUDEMP))

Abstract

This chapter serves as a partial introduction to and survey of the literature on Markov-switching models. We review the history of this class of models, describe their mathematical structure, and exposit the basic ideas behind estimation and inference. The chapter also describes how the approach can be extended in a variety of directions, such as non-Gaussian distributions, time-varying transition probabilities, vector processes, state-space and GARCH models, and surveys recent methodological advances. The contributions of the other chapters in this book are reviewed. A final section offers conclusions and implications for policy.

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Author information

Authors and Affiliations

  1. Department of Economics, 0508, University of California, San Diego, La Jolla, CA, 92093-0508, USA

    James D. Hamilton

  2. School of Business and Economics, Wilfrid Laurier University, 75 University Aveneu, Waterloo, Ontario, N2L 3C5, Canada

    Baldev Raj

Authors
  1. James D. Hamilton
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  2. Baldev Raj
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Editor information

Editors and Affiliations

  1. Department of Economics, University of California, San Diego, 9500 Gilman Drive, 92093-0508, La Jolla, CA, USA

    James D. Hamilton

  2. School of Business and Economics, Wilfrid Laurier University, 75 University Avenue, N2L 3C5, Waterloo, Ontario, Canada

    Baldev Raj

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© 2002 Springer-Verlag Berlin Heidelberg

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Hamilton, J.D., Raj, B. (2002). New directions in business cycle research and financial analysis. In: Hamilton, J.D., Raj, B. (eds) Advances in Markov-Switching Models. Studies in Empirical Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-51182-0_1

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  • DOI: https://doi.org/10.1007/978-3-642-51182-0_1

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-642-51184-4

  • Online ISBN: 978-3-642-51182-0

  • eBook Packages: Springer Book Archive

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